Nelson-Siegel久期配比免疫模型的改进与完善

Improvement on Nelson-Siegel Duration-Matching Immunization Model

针对传统的Nelson-Siegel部分久期配比免疫模型在实际应用中存在的问题,本文在对我国国债收益率曲线变动特征研究的基础上,改进了Nelson-Sie-gel部分久期配比免疫模型,提出了基于利率预测信息进行动态调整的利率风险管理策略。本文的经验分析结果显示,与传统的Nelson-Siegel部分久期配比免疫模型相比,改进的Nelson-Siegel部分久期配比免疫模型具有更好的免疫效果。

There are some problems to reduce the immunization efficiency of the traditional Nelson- Siegel duration - matching model. Based on the empirical evidence from dynamic characteristics of China＇s term structure of interest rate, this paper improves and set up a new multi - step immunizing method under the support of money- growth - rate based interest rate forecast. Our empirical evidence show that the improved Nelson - Siegel duration - matching immunization model performs better than the traditional Nelson-Siegel duration-matching immunization model.